Binomial tree for currency put option

Assignment Help Basic Statistics

Reference no: EM13102756

An American put option to sell a swiss franc for dollars has a strike price of $0.80 and a time to maturity of one year. The volatility of the swiss franc is 10%, the dollar interest rate is 6%, the swiss franc interest rate is 3%, and the current exchange rate is 0.81. Use a tree with three time steps to value the option. Estimate the delta of the option from your tree.

Reference no: EM13102756

Questions Cloud

Express the position of the object in one-dimensional motion : An object moving with uniform acceleration has a velocity of 10.0 cm/s in the positive x-direction when its x-coordinate is 3.09 cm. If its x-coordinate 3.05 s later is ?5.00 cm, what is its acceleration?

Binomial probability-testing a claim : According to an internet posting, 80% of adults enjoy drinking beer. Choose a group of 3 adults at random. The probability that none of them enjoy drinking beer is:

Proportionate stratified random sampling : A researcher is conducting proportionate stratified random sampling with a sample size of 250. Approximately how many people should be sampled from each stratum?

Find the magnitude of the deceleration : To stop a car, first you require a certain reaction time to begin braking; then the car slows under the constant braking deceleration. Suppose that the total distance moved by your car during these two phases is 50.6 m when its initial speed is 79..

Binomial tree for currency put option : An American put option to sell a swiss franc for dollars has a strike price of $0.80 and a time to maturity of one year. The volatility of the swiss franc is 10%

Develop the global void function to create two objects : Write a class implementation for the class_my class which comprises the data member ID of type integer and data member MSG of type string.

Normal distribution and binomial experiment : Provide an example of an application of the normal distribution. Explain why standard normal distribution can be used to find the probabilities for all normal distributions?

Following normal distribution with mean-standard deviation : Diastolic blood pressure are assumed to follow a normal distribution with a mean of 85 and a standard deviation of 12.

Binomial distribution and forecast : On any given day, about 45% of the stocks on the American Stock Exchange increase in value. A random sample of four independent stocks is chosen.

User Account

All Pages